time series

  1. R

    Is it allowed to reduce a dataset of moving averages to run an AR(1) model properly?

    I run a simple AR(1) and AR(2) model with the following R-code: ar.ols(df$y, order.max = 1) ar.ols(df$y, order.max =2) My dataset is as follows: I do have yearly data and calculate generational averages, whereas one generation is equal to 30 years. In order to allow for overlapping...
  2. I

    Interpreting the result of a Bayesian Structural Times Series model

    A bit of context: I am reading a study called "Exploring the determinants of Bitcoin Price". In this research paper google search trends across different countries over time are used, in part, to determine price movements in Bitcoin. They use a Bayesian Structural Times Series model. I am...
  3. L

    How can be used time series in sport?

    Hello, noob here in statistics. How can be time series be useful to sport stats modelling? Let's take as an examplem footbal
  4. A

    plot mean value according to confidence interval

    Hi all, i have a very simple question, because i am not good at statistics but i need that :) I have two signals, one is lets say 'x' another is 'time', so its a time serie. I need to find the upper and lower values of my signals according to confidence interval and then show them on a graph...
  5. M

    Time Series modeling --criteria

    Give criteria for aiding in the choice of a “best” time series model when two or more such models are available. What is, arguably, the most important criterion? I think that for the above, isn't the AIC, BIC the most arguable? I would look at autocorrelation plots, but I am trying to see what...
  6. R

    Comparing quantitative parameter between two groups with only one of these having repeated measures

    My question regards the best way of comparing two groups for differences in the levels of several quantitative parameters. Here, for only one of the groups there are 4 repeated measurements at different intervals. The data -We have two groups we want to compare: one consists of ~200 patients at...
  7. A

    Interpretation of log transformed first differences in SVAR models

    I am working with a structural VAR analysis, and want to understand my results. The model studies how a shock on one variable affects a second variable. I understand that if the first month's response is +3 %, it means that the initial value of the response variable increases by 3 percent...
  8. J

    Using a dummy variable to model threshold effects

    Hi All, I'm new to this thread and very green/inexperienced in using regressions. I'm trying to model threshold effects in a time series analysis - for instance, does an output hike of 5% or greater lead to a different effect on returns than when the output change is less than 5%. Given that I...
  9. S

    Calculate fits of Markov Switching AR (1) model

    I have created a MS-AR(1) model in EViews 9.5 (the software I'm working with) and I'm just trying to understand how some of the output is calculated. This is really dumb and probably a simple question to answer, but I can't seem to get how the fitted values are calculated. I have tried...
  10. M

    updating ARIMA model

    When should one use the different types of ARIMA model as mentioned below: Estimate the model order in the training data set and use the same order to forecast future values (updating the parameter estimates) Use a rolling window (e.g. 30 day )to make a new forecast by estimating model order...
  11. M

    When to use Augmented Dickey Fuller test vs Dickey Fuller Test - Time series

    Checking a variable for I(1) process, when should i use a ADF vs DF test?
  12. A

    Time series

    I have a poverty dataset and I wish to forecast the poverty percentage of a place in the future. I only have 2 years = 2006 and 2012 data. Is time series possible? Is there a statistical way that I could include more data points in between?
  13. S

    Graphics of Time Series (tsset command isn't working due to repeated time values)

    Hey everyone, I have a question regarding the creation of graphics for time series. I have two rows with one being the study subject ( ‘1’ denoting singles and ‘2’ denoting married couples). Additionally I have a row called ‘year’ ranging from 2002 to 2012 with repeated values obviously...
  14. D

    Time series forecast. Probability of forecasted value exceeding a threshold value?

    OK. Let's say that I have several years of monthly sales data. How would I go about finding the probability that monthly sales, three months in the future, will exceed a threshold value? Is this something that's commonly done? I spent some time searching on the internet for this, but haven't...
  15. M

    ARCH-process with exponencial variance function

    I need some help for a proof regarding Engles ARCH-paper from 1982. For an ARCH-process with a variance function h_t = exp(a_0 + a_1 y_{t-1}^2) he states, that the data generatet from this model has infinite variance (or goes to infinity) whenever a_1 is not zero. I need to explain why...
  16. B

    Stationarity of time series and VAR model

    Hello, I have two variables, one is stationary I(0) and one is non-stationary I(1). Is it possible to make VAR model for these two variables if the non-stationary variable will be differenced to obtain stationary process I(0)? Thank you for any responses.
  17. Y

    how to fit the auto arima model

    hi guys, Im new to R and I got a problem unsolved for several days: I got a dataset which covers three years by week and I ran an auto arima on the train data set which is 80% of the original data set. Then I got the following result: ARIMA(1,0,0)(0,1,0)[53] with drift Im wondering how...
  18. M

    predicting a rv based on past time series results

    Hi all, I have 3 previous years data (ie 3 time series) going from 05/05 may 05 - august 25 , the curve for the current year has data plotted from may 05 to may 26th (plotted every Thursday) so how would I use the previous data to predict the curve into the future? Time Series does not...
  19. F

    Policy chance analysis - time series count data

    Hi, I need some help to determine my approach. For a school project I would like to examine the effect of a policy change in the Danish registration law for certain cars, happening in june 2007. I have a dataset with the number of registrations pr. month from jan-97 to dec-15. If I put...
  20. L

    Time series in small data with R

    Hi there I have this data year number of surgeries 2000 570 2005 1340 2006 4730 2007 5359 2009 6060 2010 6340 2014 ???? 2015 ???? I want predict number of surgeries in 2014 and 2015. I want use neural network, SVM and all methods for...